I've been dubious about Windows XP's Internet Connection Firewall, which can be associated with any network connection. It's presented as an on-off checkbox and doesn't provide any feedback that demonstrates its usefulness, unlike products such as ZoneAlarm and Norton Personal Firewall.
As described in Microsoft Windows XP Networking Inside Out, ICF works by keeping track of the IP addresses your machine connects to in the course of Internet use, letting them send incoming packets and blocking everyone else. This prevents a lot of attempted intrusions along with a few legitimate uses, such as e-mail servers that use remote procedure calls to tell clients that new mail has arrived.
ICF is more sophisticated than I thought: On any network connection's Properties dialog, choose thetab and click to turn on logging and configure specific incoming and outgoing connections like ping requiests and Web hosting.
The book's recommendation: Remove other firewalls and turn ICF on for all modem and broadband connections and make sure it is turned off for every other networking connection (so local network services such as file sharing are not exposed to the Internet).